Στην εν λόγω μελέτη, αρχικά γίνεται μία παρουσίαση του θεωρητικού υποβάθρου της NKPC, εν συνεχεία γίνεται αναφορά κάποιων ενδεικτικών ερευνών οι οποίες προχωρούν στην εκτίμηση της καμπύλης Phillips, και τέλος παρουσιάζεται η εμπειρική προσαρμογή του υποδείγματος για την περίπτωση της Ελλάδας. / This project first presents the theoritical background of the NKPC, next some researches that have estimated the NKPC for various industrialized countries, and last, but not least, the empirical implementation of the Hybrid NKPC for Greece.

This thesis testing hybrid NKPC for the Czech Republic and the Slovakia. Analysis made by Generalized Method of Moments (GMM) and complementary Two Stage Least Squares (TSLS) demonstrated that given concept, representing short-run relationship between inflation, inflation expectations and marginal cost/output gap, is relevant for the Slovakia and irrelevant for the Czech Republic. And NKPC is relevant for both countries. Thesis also shows the development of the Phillips curve (from its original version up to the modern version) and its derivation. In this thesis is also introduced so called the triangle model. This thesis also presents several (similar) researches which testing (hybrid) NKPC and their results are compared with the results of this thesis.

The main aim of this thesis is to explain the inflation dynamics in Turkey within a theoretically consistent empirical framework. The New Keynesian Phillips Curve (NKPC) is chosen as the basis model for our analysis because, by describing the inflation process within an intertemporal optimizing dynamic general equilibrium model, it provides a rigorous analytical groundwork for credible welfare and policy analysis. We have contributed to the literature by developing a NKPC formulation that is novel in the literature: A constant elasticity of substitution (CES) type of production function incorporating imported and domestically produced intermediate goods was combined with incomplete exchange rate pass through to import prices. The short-run inflation dynamics were analyzed within the context of this new specification by estimating the model&rsquo / s highly nonlinear structural parameters that capture the price-setting behavior in Turkey for period 1988:1 - 2009:4. Our findings suggest that this NKPC formulation can explain the 1994 and 2000-01 crises as well as the current environment of low inflation achieved with the adoption of the implicit and fully fledged inflation targeting regimes quite well. As a policy application we explored the effects of the inflation targeting framework adopted after the 2000-01 crises on the parameters characterizing the inflation process in Turkey. The subsample econometric results suggested that the inflation targeting framework applied was quite successful in decreasing inflation inertia in Turkey. Thus, should the success of the inflation targeting regime continue, this should be taken as an opportunity to reduce inflation substantially with very low output losses.

La tesi di dottorato, composta da tre capitoli, si concentra sulla valutazione delle dinamiche di inflazione in Georgia e sulla previsione dei tassi di cambio nominali per i Paesi della European Eastern Partnership attraverso l’utilizzo di moderne tecniche econometriche. Nel primo capitolo, abbiamo svolto un’indagine sui modelli di previsione dei tassi di cambio e dell’inflazione. Questa indagine rivela che i modelli “factor-based and time-varying parameter” generano migliori previsioni rispetto ad altri modelli. Nel secondo capitolo, abbiamo approfondito le dinamiche di inflazione in Georgia utilizzando la New Keynesian Phillips Curve ibrida, inserita all’interno di un quadro di un modello “time-varying parameter (TVP)”. Una stima del modello TVP con volatilità stocastica mostra la persistenza di un’inflazione bassa durante il periodo 1996-2012. Un’analisi più approfondita dal 2003 mostra una volatilità crescente dell’inflazione. Inoltre, le stime del parametro evidenziano che la componente forward-looking del modello è importante a seguito dell’adozione di inflation targeting da parte della NBG a partire dal 2009. Nel terzo capitolo, abbiamo costruito dei modelli fattoriali, “Factor Vector Autoregressive” per prevedere i tassi di cambio nominali per i Paesi dell’European Eastern Partnership. Questi modelli prevedono meglio i tassi di cambio nominali rispetto ad un processo naïve come il random walk. / The Ph.D. thesis consist of three chapters on evaluating inflation dynamics in Georgia and modeling and forecasting nominal exchange rates for the European Eastern Partnership (EaP) countries using modern applied econometric techniques. In the first chapter, we survey of models those produce high predictive powers for forecasting exchange rates and inflation. This survey reveals that the factor-based and time-varying parameter (TVP) models generate superior forecasts relative to all other models. In the second chapter, we study inflation dynamics in Georgia using a hybrid New Keynesian Phillips Curve (NKPC) nested within a time-varying parameter (TVP) framework. Estimation of a TVP model with stochastic volatility shows low inflation persistence over the entire time span (1996-2012), while revealing increasing volatility of inflation shocks since 2003. Moreover, parameter estimates point to the forward-looking component of the model gaining importance following the National Bank of Georgia (NBG) adoption of inflation targeting in 2009. In the third chapter, we construct Factor Vector Autoregressive (FVAR) models to forecast nominal exchange rates for the EaP countries. This study provides better forecasts of nominal exchange rates than those produced by the random walk process.